p-value for Hansen tests

[zaineb belkhiria]

Hello everyone.
I wish you could help me.
I am using a two-step GMM model. I would like to know the min and max of the P value of the Hansen test to accept the model globally.
Does the test's p value have to be high?
Please do not hesitate to give me the right and correct information as well as references to put it as proof in my master's thesis.
best regards.

[Sebastian Kripfganz]

You never "accept" a model. At best, you cannot reject it. Jan Kiviet discusses this matter (and some recommendations on p-value thresholds) in one of his recent articles:

• Kiviet, J. F. (2020). Microeconometric dynamic panel data methods: Model specification and selection issues. Econometrics and Statistics, 13, 16-45

[zaineb belkhiria]

Many thanks.